Hi, I have exactly that same problem like Midnight-man. On second PC I haven't any firewall and some applications work, for example antivirus updater and ping command. But mostly programs don't work correctly (IE7, Firefox). When I set allow All on the host PC all works correctly. Of course I add connection between computers to Trustet Zone etc.
If ICS works when CFP is set to "Allow All", but not when it is set to "Custom", then it's a rules issue.
Can you please post a screenshot of your Network Monitor rules, along with an overview of your LAN - number of PCs, IP addresses,methods of connection etc.
Cheers,
Ewen :-)